Document Type thesis Author Name Gao, Pan URN etd-0430103-132754 Title Portfolio Construction and Risk Management: Practical Issues and Examples Degree MS Department Mathematical Sciences Advisors Arthur C. Heinricher, Advisor Keywords Finance Risk Management Portfolio Theory Date of Presentation/Defense 2003-04-28 Availability unrestricted
This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization algorithm introduced by Markowitz and multi-factor models for risk decomposition. A sample portfolio designed to track the Russell 1000G stock index is constructed that minimizes tracking error while satisfying constraints on the exposure of the portfolio to particular factors (growth and market capitalization).
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